Etienne's script, mentioned in his answer, has now been integrated into Sphinx as sphinx-apidoc. It does exactly what the OP wants. It is slated for release in Sphinx 1.1, or is available from the Hg repo:

The problem with doing it manually is not the work of doing it, although that is inconvenient and repetitive. It's that it's error-prone. You are likely to miss something, and the results will be out of date whenever you change the structure of your source.
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Jonathan HartleyMar 3 '11 at 14:02